Browsing by Author "Lotfi, Somayyeh"

Now showing items 1-4 of 4

    • Working Paper  Open Access

      Portfolio diversification in the sovereign credit swap markets 

      Consiglio, Andrea; Lotfi, Somayyeh; Zenios, Stavros A. (Springer, 2017-05)
      We develop models for portfolio diversification in the sovereign credit default swap (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient ...
    • Article  

      Portfolio diversification in the sovereign credit swap markets 

      Consiglio, Andrea; Lotfi, Somayyeh; Zenios, Stavros A. (2018)
      We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient ...
    • Working Paper  Open Access

      Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances 

      Lotfi, Somayyeh; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2016-04)
      We develop robust models for optimization of the VaR and CVaR risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and covariance matrix. We formulate models for ...
    • Article  

      Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances 

      Lotfi, Somayyeh; Zenios, Stavros A. (2018)
      We develop robust models for optimization of the VaR (value at risk) and CVaR (conditional value at risk) risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and ...